Portfolio Performance Report - 80d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (80d)	BL (80d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	93.0%	99.0%

Cumulative Return	408.02%	320.26%	539.04%	1,217.43%	407.87%
CAGR﹪	6.69%	5.89%	7.67%	10.82%	6.69%

Sharpe	0.42	0.4	0.48	0.61	0.43
Prob. Sharpe Ratio	98.09%	97.76%	99.14%	99.88%	98.47%
Smart Sharpe	0.39	0.38	0.45	0.57	0.41
Sortino	0.58	0.57	0.67	0.87	0.6
Smart Sortino	0.55	0.53	0.63	0.82	0.57
Sortino/√2	0.41	0.4	0.48	0.61	0.43
Smart Sortino/√2	0.39	0.38	0.45	0.58	0.4
Omega	1.08	1.08	1.09	1.12	1.09

Max Drawdown	-59.82%	-53.78%	-55.19%	-38.8%	-58.23%
Max DD Date	2008-11-20	2009-03-09	2009-03-09	2020-03-23	2008-11-20
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2018-01-29	2007-11-01
Max DD Period End	2011-04-26	2013-03-04	2012-08-15	2021-04-01	2010-11-01
Longest DD Days	1453	2450	2404	2530	1423
Volatility (ann.)	20.79%	18.55%	19.53%	20.15%	19.16%
Calmar	0.11	0.11	0.14	0.28	0.11
Skew	-0.28	-0.11	-0.01	-0.17	-0.28
Kurtosis	12.33	12.25	11.16	14.79	14.48

Expected Daily	0.03%	0.02%	0.03%	0.04%	0.03%
Expected Monthly	0.54%	0.48%	0.62%	0.86%	0.54%
Expected Yearly	6.45%	5.68%	7.39%	10.42%	6.45%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-2.04%	-1.95%
Expected Shortfall (cVaR)	-3.77%	-3.77%	-3.77%	-3.77%	-3.77%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.12	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.93	0.96	0.92	0.96	0.93
Outlier Win Ratio	3.84	4.35	4.17	4.27	4.31
Outlier Loss Ratio	3.75	4.29	3.96	3.74	4.13

MTD	2.59%	2.57%	5.17%	2.86%	2.75%
3M	7.06%	10.94%	12.06%	7.04%	5.63%
6M	9.24%	14.12%	16.79%	7.59%	7.18%
YTD	0.74%	3.83%	6.85%	3.58%	0.25%
1Y	11.09%	18.42%	29.36%	10.37%	7.89%
3Y (ann.)	3.56%	6.31%	10.76%	13.39%	2.97%
5Y (ann.)	5.78%	9.1%	14.72%	8.84%	4.94%
10Y (ann.)	3.72%	9.29%	12.72%	4.86%	3.26%
All-time (ann.)	6.69%	5.89%	7.67%	10.82%	6.69%

Best Day	14.86%	11.37%	14.52%	15.73%	13.69%
Worst Day	-12.09%	-12.93%	-10.94%	-15.13%	-11.36%
Best Month	16.17%	13.95%	12.7%	19.3%	16.13%
Worst Month	-25.09%	-14.06%	-16.52%	-21.59%	-22.51%
Best Year	56.84%	26.5%	32.31%	68.98%	55.89%
Worst Year	-44.11%	-33.84%	-36.79%	-25.63%	-42.08%

Avg. Drawdown	-3.4%	-2.3%	-2.04%	-3.47%	-2.91%
Avg. Drawdown Days	55	46	32	47	51
Recovery Factor	-	-	-	-	-
Ulcer Index	0.16	0.14	0.17	0.14	0.15
Serenity Index	0.41	0.36	0.41	0.64	0.39

Avg. Up Month	4.94%	3.6%	3.79%	5.21%	4.57%
Avg. Down Month	-5.41%	-4.16%	-4.29%	-4.91%	-4.96%
Win Days	53.4%	53.12%	54.29%	53.85%	53.42%
Win Month	55.96%	60.93%	62.91%	58.13%	58.72%
Win Quarter	62.38%	65.35%	70.3%	61.62%	65.0%
Win Year	65.38%	69.23%	76.92%	69.23%	65.38%

EOY Returns

Year	EQW	^DJI	SPY	MV (80d)	BL (80d)
1999	23.68	22.39	19.28	21.39	8.12
2000	-13.41	-4.22	-7.41	9.90	-13.65
2001	-8.20	-5.12	-10.11	-6.70	-10.14
2002	-9.89	-15.11	-20.83	-2.39	-4.15
2003	41.59	23.95	26.20	43.44	44.45
2004	26.02	3.69	10.78	43.60	23.87
2005	16.82	-0.08	5.25	13.85	14.59
2006	29.10	15.58	15.21	29.36	30.28
2007	19.97	7.29	6.28	34.73	21.96
2008	-47.06	-34.13	-37.36	-21.76	-44.31
2009	50.14	20.17	26.93	56.17	49.10
2010	20.58	11.76	15.63	23.41	21.98
2011	-16.31	7.59	4.53	-25.29	-12.85
2012	22.81	7.69	15.64	2.44	21.13
2013	9.37	24.03	28.62	19.21	14.27
2014	-4.15	7.84	13.27	-3.86	-4.01
2015	-10.85	-1.07	2.41	-10.89	-6.57
2016	9.23	13.38	12.18	12.12	6.12
2017	24.15	22.61	19.88	16.09	23.09
2018	-12.80	-4.20	-3.23	-6.87	-13.78
2019	17.45	20.94	27.97	11.25	17.90
2020	11.12	13.82	22.47	1.65	6.76
2021	8.83	17.94	26.11	16.06	10.74
2022	-6.52	-7.24	-17.13	22.37	-9.11
2023	14.43	13.49	24.11	6.01	12.63
2024	0.83	3.81	6.73	3.63	0.32

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-26	-59.82	1273
2000-01-04	2003-12-26	-41.42	1453
2018-01-29	2020-12-16	-41.02	1053
2014-07-07	2017-07-25	-31.03	1115
2011-05-02	2013-01-18	-27.33	628
2022-01-13	2023-07-25	-23.27	559
2006-05-10	2006-10-25	-18.31	169
2007-07-16	2007-09-28	-14.38	75
2013-05-09	2013-09-17	-13.41	132
2004-02-18	2004-09-20	-13.21	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (80d)

Started	Recovered	Drawdown	Days
2018-01-29	2021-04-01	-38.80	1159
2011-02-08	2018-01-11	-35.20	2530
2007-10-30	2009-06-11	-33.63	591
2000-03-06	2002-03-01	-29.42	726
2022-04-08	2022-12-12	-27.97	249
2002-04-22	2003-06-13	-21.61	418
2010-01-20	2010-09-07	-19.97	231
2007-07-20	2007-09-28	-18.02	71
2006-05-11	2006-10-03	-14.76	146
2007-02-26	2007-04-02	-14.59	36

BL (80d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-11-01	-58.23	1097
2018-01-29	2021-01-07	-39.40	1075
2000-01-04	2003-11-26	-37.49	1423
2011-05-02	2013-03-06	-27.05	675
2014-07-07	2017-06-01	-25.86	1061
2022-02-10	2024-02-23	-22.24	744
2006-05-10	2006-10-13	-15.61	157
2004-02-18	2004-09-30	-14.03	226
2007-07-13	2007-09-25	-12.97	75
2013-05-09	2013-09-13	-11.29	128